ASSEE 2019 - Model Selection and Averaging in Econometrics
The 14th Advanced Summer School in Economics and Econometrics will be from July 21st to July 28th, 2019, at the University Campus in Rethymno, Crete. The topic of the School is on “Model Selection and Averaging in Econometrics“.
Bruce E. Hansen, Professor in the Department of Economics, University of Wisconsin-Madison, USA, will be the Distinguished Guest Professor.
Up to 30 students will be accepted to the program.
Since 2006 the Department of Economics of the University of Crete is successfully running its Advanced Summer School in Economics and Econometrics. The broader objective of this series of events is to provide advanced training for young researchers from all over Europe and beyond on important disciplines of economics and econometrics. The Summer School follow a traditional structure: lectures in the morning and computer practical sessions in the afternoon. The specialized topic varies from year to year and reflects issues that are currently lively areas of new research and policy interest. The faculty is comprised of leaders in the field, and offers an overall coverage of the specialist area.
Magdalena Erdem, ASSEE 2014
The course justified my expectations completely!
The organization of the course was excellent and I do not hesitate to recommend ASSEE to anyone who wants to learn some theory of interest as well as practical aspects of econometrics.
READ MORE TESTIMONIALS
Through systematic interaction participants will be encouraged to compare their approaches and examine their research work. A unique opportunity will be given to advanced doctoral students to present their own work and to discuss it with the Distinguished Guest Professor. The Advanced Summer School Series on Economics and Econometrics facilitates the establishment of contacts between young researchers coming from various universities and research institutions throughout Europe.
Instructor
Bruce E. Hansen is a Mary Claire Aschenbrenner Phipps Distinguished Chair and Trygve Haavelmo Professor of Economics at the Dept of Economics, University of Wisconsin-Madison, USA. He is a fellow of the Econometrics Society and the International Association of Applied Econometrics. He is the author of the Econometrics a well cited graduate book in econometric theory and applications.
Instructor: Bruce E. Hansen, Professor in the Department of Economics, University of Wisconsin-Madison, USA.
Course Objective
The course will cover a rigorous introduction to the theory and practice of econometric model selection, model averaging, and related methods. The goal is to introduce students to a range of tools which can be used in applied econometrics, to provide the theoretical foundation to understand how to use these tools, and to introduce the theory for students interested in pursuing methodological research.
Description
Li Yijie , ASSEE 2017
The whole program reaches an excellent balance!
I learnt a lot about duration analysis, including both theories and how to do empirical analysis with it. The lab sessions are very helpful in improving my understandings of the contents of the lectures. The course is great, and the dinners and excursions are also great.
Day 1: Model Selection
An important practical issue for applied econometrics is how to select regressors. Our first lecture will cover a range of rigorous methods for regressor selection. Methods covered will include Kullback-Leibler information, the Akaike information criterion, the Bayes information criterion, the Takeuchi information criterion, the Mallows information criterion, hold-out evaluation, and the cross-validation criterion.
Day 2: Model Averaging
Model selection is a special case of model averaging. Rather than selecting one specific set of regressors (or model), a weighted average can be used. The critical issue is then how to select the weights. Methods covered will include Bayes weighting, Smoothed AIC, Mallows weighting, and cross-validation weighting.
Day 3: Forecast Combination
One of the classic applications of model averaging methods is for forecast combination. This lecture will review how model averaging methods can be constructive used to improve point forecasting.
Day 4: Stein Shrinkage
A classic method for model combination is due to James Stein and his shrinkage estimator. This estimator has been modernized for contemporary econometrics and can be employed for improved estimation precision. We will also review the related Ridge Regression estimator.
Day 5: Lasso & Ensemble Methods
The term “Machine learning” is a popular buzzword among economists. The most popular methods are the Lasso and Ensemble. The Lasso is a combination selection/shrinkage method and a close cousin of Ridge regression and Stein shrinkage. Ensemble methods are model averaging methods applied to machine learning algorithms. We will review these methods and put them in relative context.
Reading List:
“Lecture Notes: Model Selection” link
“Lecture Notes: Model Averaging” link
“Lecture Note: Shrinkage” link
“Least Squares Model Averaging,” Econometrica, (2007) link
“Jackknife Model Averaging,” with Jeffrey Racine, Journal of Econometrics, (2012) link
“Nonparametric Sieve Regression: Least Squares, Averaging Least Squares, and Cross-Validation,” Oxford Handbook of Applied Nonparametric and Semiparametric Econometrics (2014) link
“Minimum Mean Squared Error Model Averaging in Likelihood models,” with Gerda Claeskens and Ali Charkhi, Statistica Sinica, (2016) link
“Model Averaging, Asymptotic Risk, and Regressor Groups,” Quantitative Economics, (2014) link
“Efficient Shrinkage in Parametric Models,” Journal of Econometrics, (2016) link
“The Risk of James-Stein and Lasso Shrinkage,” Econometric Reviews, (2016) link
“A Stein-Like 2SLS Estimator,” Econometric Reviews, (2017) link
“Stein Combination Shrinkage for Vector Autoregressions (2016) link
“Multi-step Forecast Model Selection” (2010) link
“Forecasting with Factor-Augmented Regression: A Frequentist Model Averaging Approach,” with Xu Cheng, Journal of Econometrics, (2015) link
The Elements of Statistical Learning: Data Mining, Inference, and Prediction, Trevor Hastie, Robert Tibshirani and Jerome Friedman. link
Econometrics, Bruce E. Hansen (2018) link